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标题: Z spread [打印本页]

作者: Makavelim3 时间: 2011-7-13 10:58 标题: Z spread

1. I know different spot rate are used for discounting diffferent cash flows

and same YTM is used for discounting all cash flows.

even when spot rate curve is flat (it means same spot rate for all maturities) how can it be identical to par yield curve,

par yield curve will still have different yield for different maturities,

2. Also how is it that when spot rate curve is upward sloping Z-spread is greater than nominal spread.

作者: shootingstar 时间: 2011-7-13 11:07

1. If the yield curve is flat then that means the spot rate curve must also be flat. The steeper the yield curve the greater the divergence.

2. The nominal spread is just the spread over a given point on the yield curve. The Z-spread is the spread over the ENTIRE spot rate curve.

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